Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0357 |
| Annualized Std Dev | 0.3586 |
| Annualized Sharpe (Rf=0%) | -0.0996 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5581.0000 |
| NAs | 1.0000 |
| Minimum | -0.7286 |
| Quartile 1 | -0.0087 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0100 |
| Maximum | 0.2024 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0005 |
| Stdev | 0.0226 |
| Skewness | -6.9360 |
| Kurtosis | 209.8535 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0180 |
| Gain Deviation | 0.0138 |
| Loss Deviation | 0.0221 |
| Downside Deviation (MAR=210%) | 0.0217 |
| Downside Deviation (Rf=0%) | 0.0179 |
| Downside Deviation (0%) | 0.0179 |
| Maximum Drawdown | 0.9675 |
| Historical VaR (95%) | -0.0300 |
| Historical ES (95%) | -0.0512 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | NA |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-02 | NA | -0.9675 | 3362 | 334 | NA |
| 2000-02-11 | 2001-04-03 | 2002-03-19 | -0.5096 | 525 | 288 | 237 |
| 2002-04-24 | 2003-03-11 | 2004-01-05 | -0.3957 | 429 | 222 | 207 |
| 2006-05-09 | 2007-03-05 | 2007-07-09 | -0.2784 | 293 | 206 | 87 |
| 1999-07-12 | 1999-10-05 | 1999-12-27 | -0.2782 | 118 | 61 | 57 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.3 | 1.4 | 1.8 | -2.4 | 2.1 | 3.4 | 1.3 | -2.6 | 0.5 | 4.9 | 1.3 | 1.5 | 15.1 |
| 2000 | -1.2 | 6.5 | 0.4 | 3.5 | 2 | 0.9 | 2.9 | 0 | -1.2 | 1.2 | 4 | 1.1 | 21.8 |
| 2001 | -1.2 | -12.5 | 1.1 | -0.3 | 0.7 | 1.5 | 2.9 | -1.8 | -2.1 | 0.8 | 1.6 | 2 | -7.9 |
| 2002 | -0.7 | 4 | -1.5 | -0.1 | -2.3 | -1.1 | -1.8 | 0.4 | 1.9 | -0.8 | 0.2 | 5.3 | 3.3 |
| 2003 | 1.4 | -1.2 | 0.9 | -0.2 | 1.3 | 0.1 | -0.1 | 0.8 | 4 | -0.3 | 2.5 | 2 | 11.6 |
| 2004 | 1 | 2.3 | 1.3 | -1.3 | -0.1 | -1.8 | -0.3 | 1.8 | 1.8 | 1.2 | 3.4 | 1.2 | 10.9 |
| 2005 | -0.3 | 1 | 2.3 | -0.2 | -0.1 | 0.4 | 0.5 | 2.6 | -0.2 | 2.4 | 1.5 | 1.3 | 12 |
| 2006 | -0.7 | 0.4 | 1.6 | 0.7 | 1.2 | 1.6 | -1.7 | 1.2 | 0.3 | 0.1 | -0.1 | -0.3 | 4.3 |
| 2007 | 2.4 | -2.3 | -0.1 | 0 | 3.1 | -0.1 | -2.8 | 2.7 | 1.6 | -3 | 1.5 | -1.3 | 1.4 |
| 2008 | 1 | -4.1 | 5.5 | 0.8 | 0.8 | -0.6 | -1.4 | -1.8 | -2.1 | 1 | -4.3 | 6.2 | 0.4 |
| 2009 | 1 | -1.2 | 4.7 | 1.4 | 3.4 | 3.2 | 0.9 | 0.6 | -4.2 | -4 | 2.4 | 1.5 | 9.7 |
| 2010 | 2.3 | 1 | 2.9 | -0.4 | -0.7 | -0.6 | -0.3 | 3.4 | 1.8 | 2 | 1.9 | 0.1 | 14.2 |
| 2011 | 2.8 | -1.7 | 1.5 | 0.6 | -1.5 | 1.2 | 1.9 | 0.7 | -2.7 | -1.7 | 1.1 | 0.2 | 2.2 |
| 2012 | 0 | 1.3 | 0.6 | 0.3 | -2.9 | 3.7 | -0.4 | 0.7 | 0.6 | 0.4 | 0.4 | 1.5 | 6.2 |
| 2013 | 0.4 | -0.5 | -0.2 | -0.6 | -1.1 | 1.5 | 1.7 | 1.7 | 1.3 | 0.8 | 1.2 | 0.7 | 6.9 |
| 2014 | 1 | 0.1 | 0.9 | 1.1 | -0.6 | 0.3 | -0.3 | -0.4 | -1.6 | -0.6 | -0.5 | -0.3 | -0.9 |
| 2015 | -0.5 | 0.1 | 1 | -0.1 | -1.2 | 2.3 | -0.1 | -0.8 | 0.8 | 0.7 | 1.5 | 0.3 | 4.2 |
| 2016 | 1.5 | 1.9 | -1 | -0.9 | 0.3 | 1.2 | 1.5 | -0.6 | 0.2 | -0.9 | 0.2 | 0.2 | 3.5 |
| 2017 | 0 | 0.2 | 0.1 | 0.6 | 0.3 | 0.3 | 0.5 | 0 | 0.4 | 1.8 | -0.6 | 1.3 | 4.9 |
| 2018 | -0.5 | 0 | 1.7 | 0.4 | 0.7 | 1.8 | 0 | 0.2 | -0.3 | 2.5 | -1.1 | 0.2 | 5.4 |
| 2019 | -1.3 | 1.5 | 2.1 | 0.2 | -0.4 | -0.1 | -1.5 | 1.3 | 0.1 | 1.6 | -2.1 | 0.2 | 1.4 |
| 2020 | -3.4 | -1.2 | -5.8 | -1.4 | 2.2 | 2.5 | 0.2 | 1.2 | 0.4 | -2 | 1.3 | 0.3 | -5.9 |
| 2021 | 3.1 | 2.2 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 96.2 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 102. SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 109. SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 108. SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 104. SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 103. SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
